This week, the scorecard recommends buying JPY, CHF and USD while selling AUD, NZD and GBP.
Despite a 1.5% gain versus USD last week, the scorecard recommends being long JPY again this week. The risk premium and positioning inputs favour a long JPY position as implied; USD/JPY volatility and risk reversal have decreased recently. The long basket this week also includes CHF after last week’s sell-off, even though most input factors (besides FX input) point in the other direction.
The scorecard recommends selling AUD again this week as all indicators, with the exception of FX scores, favour a short AUD position. According to the model, Australian interest rates are currently underperforming relative to other G10 currencies after a more than 10bp drop last week. Last week’s rally in GBP seems overdone according to the model, and even though all other input factors currently favour a long GBP position, this week's short basket also includes GBP.
Last week’s signals resulted in a 1.1% loss. The short JPY position was particularly expensive, while the long NOK and SEK positions also resulted in a loss.
Next scorecard signals will be sent out on May 6.
To Read the Entire Report Please Click on the pdf File Below.
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G10 Financial Scorecard: Long JPY, CHF, USD Vs. Short AUD, NZD, GBP
Published 04/29/2013, 08:08 AM
Updated 05/14/2017, 06:45 AM
G10 Financial Scorecard: Long JPY, CHF, USD Vs. Short AUD, NZD, GBP
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